Stochastic H2/H∞ control with (x, u, v)-dependent noise: Finite horizon case

@article{Zhang2006StochasticHC,
  title={Stochastic H2/H∞ control with (x, u, v)-dependent noise: Finite horizon case},
  author={Weihai Zhang and Huanshui Zhang and Bor-Sen Chen},
  journal={2006 9th International Conference on Control, Automation, Robotics and Vision},
  year={2006},
  pages={1-6}
}
In this paper, the finite horizon mixed H<sub>2</sub>/H<sub>∞</sub> control problem is studied for the systems governed by Ito-type nonlinear stochastic differential equations with state, control and external disturbance-dependent noise. It is shown that the mixed H<sub>2</sub>/H<sub>∞</sub> control under consideration is associated with the four cross-coupled Hamilton-Jacobi equations in nonlinear case. Some necessary and/or sufficient conditions for the existence of finite horizon stochastic… CONTINUE READING

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Some remarks on stochastic H∞ control of linear and nonlinear Itô-type differential systems

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